Page 1 of 1
Solactive Permanent Index Returns Data
Posted: Tue Mar 27, 2012 1:03 pm
by craigr
I was going to post this in another thread, but thought it would be of wider interest.
There is a new ETF based on Solactive's "Permanent" index that closely matches the 4x25% split of Harry Browne's Permanent Portfolio:
http://www.structured-solutions.eu/aktu ... 000SLA1PM4
Solactive has a spreadsheet for download with their combined weekly index results going back to 1977 to today:
http://www.structured-solutions.eu/tl_f ... istics.xls
Rounded to nearest tenth:
Return p.a: 8.7%
Best Month: 15.1%
Worst Month: -10.4%
% Positive Months: 64.5%
% Negative Months: 35.5%
Volatility: 6.1%
% Positive years: 88.6%
% negative years: 11.4%
max drawdown -18.3%
No surprises. It basically matches my own data. Just thought it would be another data point.
Re: Solactive Permanent Index Returns Data
Posted: Tue Mar 27, 2012 2:42 pm
by ozzy
Thanks for posting.
Re: Solactive Permanent Index Returns Data
Posted: Tue Mar 27, 2012 3:01 pm
by Gosso
Great info!
I prefer monthly data since annual data can give the false impression of nice smooth returns -- hidden within those annual returns will be some slightly rocky waters. I think if people realize this and accept it, then it could go a long way in eliminating the panic and fear that occurs when the Permanent Portfolio jumps around a little bit.
I figured the max drawdown would be around 15-20%, which seems reasonable...I'm guessing this occurred during 2008? I just checked the Vanguard Wellesley Fund, and it had a drawdown of 28% from the peak in late 2007 until the trough in early 2009.
Re: Solactive Permanent Index Returns Data
Posted: Tue Mar 27, 2012 3:37 pm
by blackomen
Thanks.. now it makes it easier to see past years' performance the same way I can pull up a chart of, say, the DOW in 1998.
Re: Solactive Permanent Index Returns Data
Posted: Tue Mar 27, 2012 11:07 pm
by Ad Orientem
Craig
Very interesting. Thanks for posting. I'm keeping my eye on that fund. In a couple years I may consider putting some money in it.
Re: Solactive Permanent Index Returns Data
Posted: Wed Jun 13, 2012 7:44 pm
by uncle Lou
Gosso wrote:
Great info!
"I just checked the Vanguard Wellesley Fund, and it had a drawdown of 28% from the peak in late 2007 until the trough in early 2009."
where did you get that data from on Wellesley? According to Morningstar and Vanguard, the max drawdown was 18.9%. Does it make a difference? Well yes. Wellesley in no more volatile than the PP, and has the same long-term return as PP.
Re: Solactive Permanent Index Returns Data
Posted: Wed Jun 13, 2012 9:19 pm
by kka
Looks like Wellesley had right around a 19% draw-down.
Re: Solactive Permanent Index Returns Data
Posted: Wed Jun 13, 2012 9:37 pm
by MediumTex
uncle Lou wrote:
Wellesley in no more volatile than the PP, and has the same long-term return as PP.
Wellesley is a great PP comparison because it has been around since most PP backtesting begins.
What you see with a Wellesley-like portfolio is that it does okay until inflation begins to get bad, and then the PP tends to do better on an inflation-adjusted basis.
Wellesley is a great fund, though. For a person who just can't handle the PP, I would say go buy some Wellesley and leave it alone.
Re: Solactive Permanent Index Returns Data
Posted: Wed Jun 13, 2012 10:31 pm
by AdamA
MediumTex wrote:
Wellesley is a great fund, though. For a person who just can't handle the PP, I would say go buy some Wellesley and leave it alone.
I'll bet a 90% Wellesley 10% gold portfolio would do pretty well.
Re: Solactive Permanent Index Returns Data
Posted: Wed Jun 13, 2012 10:57 pm
by Ad Orientem
AdamA wrote:
MediumTex wrote:
Wellesley is a great fund, though. For a person who just can't handle the PP, I would say go buy some Wellesley and leave it alone.
I'll bet a 90% Wellesley 10% gold portfolio would do pretty well.
I will bet that you are right. A balanced stock - bond portfolio with 10-20% in gold tacked on will do quite nicely. The PP can't be beat for low volatility. But I would never be so bold as to say there aren't reasonable alternatives for those who really can handle the higher volatility. I have often said that a man with nine figures in assets and who can handle a 30-40% hit might do better putting the cash and LTT portion of his portfolio in one of Vanguard's intermediate term Muni funds. Over the long term someone in the top tax bracket would probably beat the PP using intermediate term Munis instead of Treasuries. But you would be trading better long term returns via tax savings for much more significant near term volatility because Munis don't offer the same deflation protection that sovereign bonds do.
It really comes down to how strong is your stomach? And as Craig has pointed out many times, most people overestimate their own tolerances for near term losses and they end up selling at the worst possible time.
Re: Solactive Permanent Index Returns Data
Posted: Wed Jun 13, 2012 11:13 pm
by cabronjames
Clive wrote:
If you felt so inclined, you could calculate the daily change in LTT's based on
^TYX 30 year T yield that has data from February 1977, combine that with daily gold prices from
http://www.usagold.com/reference/prices/history.html that has data back to 1970, add in the S&P500 and daily rate STT's ....etc - for an overall daily based PP history back to that February 1977 date.
I would volunteer to crunch/spreadsheet monthly return numbers. But I do not know decent formula to approximate the nominal dividend-reinvested return (ala Yahoo Finance AdjClose price) for the Bond & Cash assets, given the Bond & Cash historical yield. I vaguely know that an approximate bond duration would be an independent variable
If someone can give me this formula, I'll make the monthly returns spreadsheet, & fileshare said spreadsheet on this Forum.
Re: Solactive Permanent Index Returns Data
Posted: Wed Jun 13, 2012 11:24 pm
by Alanw
Ad Orientem wrote:
AdamA wrote:
MediumTex wrote:
Wellesley is a great fund, though. For a person who just can't handle the PP, I would say go buy some Wellesley and leave it alone.
I'll bet a 90% Wellesley 10% gold portfolio would do pretty well.
I will bet that you are right. A balanced stock - bond portfolio with 10-20% in gold tacked on will do quite nicely. The PP can't be beat for low volatility. But I would never be so bold as to say there aren't reasonable alternatives for those who really can handle the higher volatility. I have often said that a man with nine figures in assets and who can handle a 30-40% hit might do better putting the cash and LTT portion of his portfolio in one of Vanguard's intermediate term Muni funds. Over the long term someone in the top tax bracket would probably beat the PP using intermediate term Munis instead of Treasuries. But you would be trading better long term returns via tax savings for much more significant near term volatility because Munis don't offer the same deflation protection that sovereign bonds do.
It really comes down to how strong is your stomach? And as Craig has pointed out many times, most people overestimate their own tolerances for near term losses and they end up selling at the worst possible time.
I wanted a slight stock/bond tilt for my portfolio so I went with the traditional HBPP at 80% and have 20% in Wellesley which I am contemplating moving 1/2 of to Wellington. This gives me a 30/30/20/20 total portfolio. I do keep the PP seperate for rebalancing purposes. This also gives me a slight deviation in my stock and bond holdings as Wellesley has predominantly high grade corporate bonds in their bond holdings. I guess I was not completely sold on the PP or maybe gold or LTT's scared me a little. Anyway I am comfortable with the portfolio and may switch to 100% PP as time goes on.
Re: Solactive Permanent Index Returns Data
Posted: Wed Jun 13, 2012 11:25 pm
by AdamA
Ad Orientem wrote:
The PP can't be beat for low volatility.
It also has cash built into it, which is nice psychologically and practically.
Re: Solactive Permanent Index Returns Data
Posted: Wed Jun 13, 2012 11:40 pm
by Ad Orientem
Alanw wrote:
Ad Orientem wrote:
AdamA wrote:
I'll bet a 90% Wellesley 10% gold portfolio would do pretty well.
I will bet that you are right. A balanced stock - bond portfolio with 10-20% in gold tacked on will do quite nicely. The PP can't be beat for low volatility. But I would never be so bold as to say there aren't reasonable alternatives for those who really can handle the higher volatility. I have often said that a man with nine figures in assets and who can handle a 30-40% hit might do better putting the cash and LTT portion of his portfolio in one of Vanguard's intermediate term Muni funds. Over the long term someone in the top tax bracket would probably beat the PP using intermediate term Munis instead of Treasuries. But you would be trading better long term returns via tax savings for much more significant near term volatility because Munis don't offer the same deflation protection that sovereign bonds do.
It really comes down to how strong is your stomach? And as Craig has pointed out many times, most people overestimate their own tolerances for near term losses and they end up selling at the worst possible time.
I wanted a slight stock/bond tilt for my portfolio so I went with the traditional HBPP at 80% and have 20% in Wellesley which I am contemplating moving 1/2 of to Wellington. This gives me a 30/30/20/20 total portfolio. I do keep the PP seperate for rebalancing purposes. This also gives me a slight deviation in my stock and bond holdings as Wellesley has predominantly high grade corporate bonds in their bond holdings. I guess I was not completely sold on the PP or maybe gold or LTT's scared me a little. Anyway I am comfortable with the portfolio and may switch to 100% PP as time goes on.
No issues here. Harry Browne never said what percentage of your money you should have in a PP. Just that it should be whatever you can't afford to lose. Wellesley and Wellington are both well managed funds that have extremely low expense ratios. You could do a lot worse for a VP.
Re: Solactive Permanent Index Returns Data
Posted: Wed Jun 13, 2012 11:43 pm
by Ad Orientem
AdamA wrote:
Ad Orientem wrote:
The PP can't be beat for low volatility.
It also has cash built into it, which is nice psychologically and practically.
I concur. It is a great help for sleeping at night. Though I suppose that someone with nine figures might not feel a need for such a large cash reserve.